MEETING OF THE MERSEYSIDE LOCAL GROUP OF THE ROYAL STATISTICAL SOCIETY
Date: Tuesday 5th February 2002
Time: 5pm (tea at 4:30 in coffee room, third floor)
Venue: Room 2.11, Maths and Oceanography building, University of Liverpool
Speaker: Mike Robinson (Man Investment Products)
Title: Applications of statistics in finance -- development of a trading
system.
Abstract: We use statistical techniques to systematically trade financial
markets. The talk gives an overview of the main issues involved with
developing a trading
strategy and illustrates these using data on the FTSE Allshare and S&P500
indices. The areas I will cover are: introduction to futures markets; model
choice; trading rules; trading costs; risk assessment; diversification
benefits.
All welcome. For maps and/or parking permits please contact Helen Clough
([log in to unmask] or at address below).
Dr. Helen Clough,
Postdoctoral Research Assistant in Statistics,
Department of Veterinary Clinical Sciences,
University of Liverpool,
"Leahurst",
Neston
S. Wirral CH64 7TE
Tel + 44 151 794 6173
Fax + 44 151 794 6028
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